Confidence Interval for Shrinkage Parameters in Ridge Regression

Abstract

In ridge regression, the estimation of ridge parameter k is an important problem. There are several methods available in the literature to do this job some what efficiently. However, no attempts were made to suggest a confidence interval for the ridge parameter using the knwoledge from the data. In this article, we propose a data dependent confidence interval for the ridge parameter k. The method of obtaining the confidence interval is illustrated with the help of a data set. A simulation study indicates that the empirical coverage probability of the suggested confidence intervals are quite high.

Keywords:

• Ridge regression
• Shrinkage parameter
• Simulation study
• Venables method

Mathematics Subject Classification:

• 62J05
• 62F25